Still not working as of Version 0.20:
STR:
1. Select Shader in Project
2. Click Open in Shader Forge
3. Move a node around.
4. Click "Compile Shader" button
5. Close ShaderForge editor.
6. Observe error in console.
7. Profit.

UnauthorizedAccessException: Access to the path "<myshaderpath>\Ghost.shader" is denied.
System.IO.FileStream..ctor (System.String path, FileMode mode, FileAccess access, FileShare share, Int32 bufferSize, Boolean anonymous, FileOptions options) (at /Users/builduser/buildslave/monoAndRuntimeClassLibs/build/mcs/class/corlib/System.IO/FileStream.cs:320)
System.IO.FileStream..ctor (System.String path, FileMode mode, FileAccess access, FileShare share)
(wrapper remoting-invoke-with-check) System.IO.FileStream:.ctor (string,System.IO.FileMode,System.IO.FileAccess,System.IO.FileShare)
System.IO.StreamWriter..ctor (System.String path, Boolean append, System.Text.Encoding encoding, Int32 bufferSize) (at /Users/builduser/buildslave/monoAndRuntimeClassLibs/build/mcs/class/corlib/System.IO/StreamWriter.cs:124)
System.IO.StreamWriter..ctor (System.String path)
(wrapper remoting-invoke-with-check) System.IO.StreamWriter:.ctor (string)
ShaderForge.SF_Evaluator.SaveShaderAsset ()
ShaderForge.SF_Evaluator.Evaluate ()
ShaderForge.SF_Editor.OnDisable ()
UnityEditor.DockArea:OnGUI()

You should not need to Lock an asset.  Locking is for exclusive editing.

Yes sir.  Deleted the entire shaderforge folder and re-added from unitypackage.

Sorry, no luck.  I opened a shader, then closed the shaderforge window and got this in the output pane.

UnauthorizedAccessException: Access to the path "<shaderpath>\Ghost.shader" is denied.
System.IO.FileStream..ctor (System.String path, FileMode mode, FileAccess access, FileShare share, Int32 bufferSize, Boolean anonymous, FileOptions options) (at /Users/builduser/buildslave/monoAndRuntimeClassLibs/build/mcs/class/corlib/System.IO/FileStream.cs:320)
System.IO.FileStream..ctor (System.String path, FileMode mode, FileAccess access, FileShare share)
(wrapper remoting-invoke-with-check) System.IO.FileStream:.ctor (string,System.IO.FileMode,System.IO.FileAccess,System.IO.FileShare)
System.IO.StreamWriter..ctor (System.String path, Boolean append, System.Text.Encoding encoding, Int32 bufferSize) (at /Users/builduser/buildslave/monoAndRuntimeClassLibs/build/mcs/class/corlib/System.IO/StreamWriter.cs:124)
System.IO.StreamWriter..ctor (System.String path)
(wrapper remoting-invoke-with-check) System.IO.StreamWriter:.ctor (string)
ShaderForge.SF_Evaluator.SaveShaderAsset ()
ShaderForge.SF_Evaluator.Evaluate ()
ShaderForge.SF_Editor.OnDisable ()
UnityEditor.DockArea:OnGUI()

Looks like this is your hookup:
https://docs.unity3d.com/Documentation/ScriptReference/VersionControl.Provider.Checkout.html

Looks like it involves the use of this API.  I imagine you just need to inform it you are about to "edit" it before you attempt to save.

• VersionControl.Asset
• VersionControl.AssetList
• VersionControl.ChangeSet
• VersionControl.ChangeSets
• VersionControl.ConfigField
• VersionControl.Plugin
• VersionControl.Provider
• VersionControl.Task

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Opening a checked in shader results in:
UnauthorizedAccessException: Access to the path "<path>\HeroCharacter.shader" is denied.
System.IO.FileStream..ctor (System.String path, FileMode mode, FileAccess access, FileShare share, Int32 bufferSize, Boolean anonymous, FileOptions options) (at /Users/builduser/buildslave/monoAndRuntimeClassLibs/build/mcs/class/corlib/System.IO/FileStream.cs:320)
System.IO.FileStream..ctor (System.String path, FileMode mode, FileAccess access, FileShare share)
(wrapper remoting-invoke-with-check) System.IO.FileStream:.ctor (string,System.IO.FileMode,System.IO.FileAccess,System.IO.FileShare)
System.IO.StreamWriter..ctor (System.String path, Boolean append, System.Text.Encoding encoding, Int32 bufferSize) (at /Users/builduser/buildslave/monoAndRuntimeClassLibs/build/mcs/class/corlib/System.IO/StreamWriter.cs:124)
System.IO.StreamWriter..ctor (System.String path)
(wrapper remoting-invoke-with-check) System.IO.StreamWriter:.ctor (string)
ShaderForge.SF_Evaluator.SaveShaderAsset ()
ShaderForge.SF_Evaluator.Evaluate ()
ShaderForge.SF_Editor.OnDisable ()
UnityEditor.DockArea:OnGUI()